Using contingent-claims valuation, we introduce novel hedge ratios for credit exposures using put options. Option hedge ratios are generally in line with the empirical sensitivities of credit spread changes to put option returns and, relative to stock hedge ratios, produce further reductions in volatility for a portfolio of North American firms. We show that option hedge ratios capture option-specific credit exposure related to the VIX index and the default spread, which is unaccounted for by Merton’s (1974) equity hedge ratios alone. Combining stocks and put options for credit risk hedging can be done effectively using the volatility smirk. (JEL E43, E44, G10)

中文翻译：

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或有债权与利用股票期权对冲信用风险

通过或有债权估值，我们利用看跌期权引入了新的信用风险对冲比率。期权对冲比率通常与信用利差变化对看跌期权收益的经验敏感性一致，并且相对于股票对冲比率，可以进一步降低北美公司投资组合的波动性。我们表明，期权对冲比率捕获了与 VIX 指数和违约利差相关的特定于期权的信用风险敞口，而 Merton（1974）的股票对冲比率并没有单独解释这一点。利用波动性假笑，可以有效地将股票和看跌期权结合起来进行信用风险对冲。(JEL E43、E44、G10)